Consider a portfolio consisting of: Option A, (long) position: +5 Option B, (long) position: +5 Another option,
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Question:
Consider a portfolio consisting of:
- Option A, (long) position: +5
- Option B, (long) position: +5
Another option, "Option C" , with the same underlying asset, is available and has the following characteristics:
- delta of C: +2
- gamma of C: +5
- vega of C: +1
Combine the underlying and option C to make the portfolio delta neutral and vega neutral. What is the resulting position in the underlying?
Related Book For
Introduction to Derivatives and Risk Management
ISBN: 978-1305104969
10th edition
Authors: Don M. Chance
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